Zobrazeno 1 - 10
of 293
pro vyhledávání: '"Tankov, Peter"'
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating strategy f
Externí odkaz:
http://arxiv.org/abs/2410.12495
Autor:
Mazzon, Andrea, Tankov, Peter
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a scenario from
Externí odkaz:
http://arxiv.org/abs/2408.09349
We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [A\"id, Ren\'e, Roxana Dumitrescu, and Peter Tankov, ``The entry and exit game in the electr
Externí odkaz:
http://arxiv.org/abs/2312.17691
Autor:
Lavigne, Pierre, Tankov, Peter
We build a model of a financial market where a large number of firms determine their dynamic emission strategies under climate transition risk in the presence of both green-minded and neutral investors. The firms aim to achieve a trade-off between fi
Externí odkaz:
http://arxiv.org/abs/2301.09163
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field games with
Externí odkaz:
http://arxiv.org/abs/2210.03554
The standard Hotelling model assumes that the stock of an exhaustible resource is known. We expand on the model by Arrow and Chang that introduced stochastic discoveries and for the first time completely solve such a model using impulse control. The
Externí odkaz:
http://arxiv.org/abs/2203.01614
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption. This algorithm allows to approximate the mean field game pop
Externí odkaz:
http://arxiv.org/abs/2202.11428
Autor:
Tankov, Peter, Tinsi, Laura
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that the decision
Externí odkaz:
http://arxiv.org/abs/2106.16047
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be perfectly hedged
Externí odkaz:
http://arxiv.org/abs/2105.04073